V-Lab: ICE BofAML U.S. Bond Market Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

V-Lab

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V-Lab

ICE BofAML U.S. Bond Market Option Volatility Estimate Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:65.45% (-3.53%)

Analysis last updated: Friday, April 26, 2024 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	17.5544	10.08
$α$	0.0770	21.28
$β$	0.9456	168.35
$ν$	4	8.69

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

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GJR-GARCH
EGARCH
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